Part 1 covered the relation between VIX/WVF extreme movements and SPY; here we take a wider look, covering a large number of international equity ETFs. The main idea behind WVF is that it acts similarly to VIX in high-volatility situations, possibly…

Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’ VIX Fix (WVF) is…